Abstract
Modelling the dynamic dependent data by the linear approach is the most popular among the researchers because of its simplicity in calculation and approximation, however, in real-world phenomena, most of the time-dependent data follow the nonlinearity. Moreover, most of the nonlinear modelling of time-dependent data have found in the financial applications. Besides this sector, the authors of this paper found the presence of nonlinearity in meteorological data with the help of four popular nonlinearity tests. Furthermore, there is a scarcity of the application of regime-switching threshold autoregressive nonlinear time-series model in forecasting the weather variables like temperature. Thus, this paper aims to compare the forecasting accuracy of the linear autoregressive (linear AR), self-exciting threshold autoregression (SETAR), logistic smooth transition autoregressive model (LSTAR), and feed-forward neural network (ANNs) and fitted with the determination of regime and hyperparameters. After fitting the models, twenty steps ahead forecast considered for the comparison along with the selected model selection criteria; and results depict that the LSTAR models are selected as the most appropriate fitted models for forecasting the daily Average, Maximum and Minimum temperature. Finally, it has observed that the average, as well as maximum temperature of Dhaka, Bangladesh, have an increasing trend and minimum temperature having a decreasing trend.
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Acknowledgement
The authors would like to sincerely thank the two anonymous reviewers, the Executive Editor-in-Chief for their valuable comments which is helpful to improve the quality as well as readability of the paper. The authors are thankful to the Bangladesh Meteorological Department, Bangladesh for providing the data for research. The authors also grateful to their family and all well-wishers for motivation, inspiration, and supports to complete this research.
Funding
The authors do not receive any form of financial support from any organization and individuals. They purchased the required dataset from the Bangladesh Meteorological Department, Bangladesh and complete this research by their self-resources.
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Karimuzzaman, M., Moyazzem Hossain, M. Forecasting performance of nonlinear time-series models: an application to weather variable. Model. Earth Syst. Environ. 6, 2451–2463 (2020). https://doi.org/10.1007/s40808-020-00826-6
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DOI: https://doi.org/10.1007/s40808-020-00826-6